The Estimation of Open Higher-Order Continuous Time Dynamic Models with Mixed Stock and Flow Data
扩展了封闭高阶连续时间动态模型的高斯或拟最大似然估计方法，引入外生变量，适用于混合存量和流量数据的系统，并给出了二阶系统的具体估计公式。
This article extends recent work on the Gaussian or quasi-maximum likelihood estimation of the parameters of a closed higher-order continuous time dynamic model by introducing exogenous variables into the model The method presented yields exact maximum likelihood estimates when the innovations are Gaussian and the exogenous variables are polynomials in time of degree not exceeding two, and it can be expected to yield very good estimates under more general conditions. It is applicable, in principle, to a system of any order with mixed stock and iow data. The precise formulas for its implementation are derived, in this article, for a second-order system in which both the endog-enous and exogenous variables are a mixture of stock and flow variables.